Co-Movements in Long-Term Interest Rates and the Role of PPP-Based Exchange Rate Expectations

Co-Movements in Long-Term Interest Rates and the Role of PPP-Based Exchange Rate Expectations
This paper investigates international co-movement in bond yields by testing for uncovered interest parity (UIP). Existing work is supplemented by focusing on long instead of short-term interest rates and by employing exchange rate expectations derived from purchasing power parity (PPP) instead of actual outcomes. Among the major currencies... READ MORE...

Publication date: June 1999
ISBN 9781451850345
$15.00

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